The Copula function is taken to replace the relevant coefficient and characterize the mutual relationship between risk factors. On such a basis, the calculation of portfolio value-at-risk is discussed from the foregoing relationship.

• 运用Copula函数代替相关系数表示风险因子之间的依存关系,进而从风险因子依存性角度探讨投资组合风险值(var)的计算。